Search Results for Collection: College of Business

Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and ...

Cotter, John; Dowd, Kevin(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2006-10-31)

This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional
distributions of the return distributions for the S&P500, FT100, DAX, Hang Seng,
and Nikkei225 futures contracts. It then uses the conditional ...

This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, ...